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PADS Seminar: Quasi-stationary distribution and ergodic control problems

Author: Lona | Image: Lona

Speaker: Guo-Jhen Wu (KTH Royal Institute of Technology)

Abstract: We introduce two ergodic control problems that can be used to analyze the quasi-stationary distributions (QSDs) associated with a diffusion process. The two problems are in some sense dual, with one defined in terms of the generator associated with the diffusion process and the other in terms of its adjoint. The first ergodic control problem can be used to characterize the Q-process associated with the QSD, and the cost potential of the second ergodic control problem to characterize the QSD itself. We briefly mention how the control problems can be used to construct numerical approximations of the QSD. This is joint work with Amarjit Budhiraja (University of North Carolina at Chapel Hill), Paul Dupuis (Brown University), and Pierre Nyquist (KTH).